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The Largest Sample Eigenvalue Distribution in the rank 1 Quaternionic Spiked Model of Wishart Ensemble

By Dong Wang

Abstract

We solve the largest sample eigenvalue distribution problem in the rank 1 spiked model of the quaternionic Wishart ensemble, which is the first case of a statistical generalization of the Laguerre symplectic ensemble (LSE) on the soft edge. We observe a phase change phenomenon similar to that in the complex case, and prove that the new distribution at the phase change point is the GOE Tracy-Widom distribution.

Year: 2008
OAI identifier: oai:CiteSeerX.psu:10.1.1.315.6295
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